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Ci (Si 1 Xi ) 1 (Si 1 Xi )
1/ 2
where
0, if Ci k
(Si 1 Xi )(1 k / Ci ), if Ci k
Si
j i li 1
Xj
and
MCi max{0, (Di 1Di )1/ 2 kli }
where k 0, li li 1 1 if MCi 1 0 and li 1 otherwise . An out of control signal is
generated if MCi > H.
Both of these multivariate Cusums have better ARL performance that the Hotelling T2 or
the chi-square control chart. However, the MEWMA has very similar ARL performance
to both of these multivariate Cusums and it much easier to implement in practice, so it
should be preferred.